| san | bonds | eur/pln | portfolio | |
|---|---|---|---|---|
| mean | 0.0003 | 0.0008 | 0.0000 | 0.0003 |
| std | 0.0255 | 0.0240 | 0.0041 | 0.0142 |
| mad | 0.0181 | 0.0165 | 0.0030 | 0.0102 |
| semi std | 0.0194 | 0.0178 | 0.0026 | - |
| skew | -0.6322 | -0.6019 | 0.3141 | -0.2584 |
| kurt | 7.1757 | 9.6444 | 3.8395 | 5.4363 |
| q_0.05 | -0.0386 | -0.0328 | -0.0059 | -0.0218 |
| q_0.5 | 0.0000 | -0.0004 | -0.0002 | 0.0008 |
| q_0.75 | 0.0131 | 0.0131 | 0.0021 | 0.0077 |
| q_0.95 | 0.0392 | 0.0367 | 0.0065 | 0.0222 |
| ecdf(-1) | 0.0000 | 0.0000 | 0.0000 | 0.0000 |
| ecdf(-0.5) | 0.0000 | 0.0000 | 0.0000 | 0.0000 |
| ecdf(0) | 0.5111 | 0.5181 | 0.5227 | 0.4804 |
| ecdf(0.5) | 1.0000 | 1.0000 | 1.0000 | 1.0000 |
| ecdf(1) | 1.0000 | 1.0000 | 1.0000 | 1.0000 |
| ann vol | 40.49% | 38.15% | 6.54% | 22.57% |
| san | bonds | eur/pln | portfolio | |
|---|---|---|---|---|
| san | 0.000651 | 0.000012 | -0.000004 | 0.000327 |
| bonds | 0.000012 | 0.000577 | 0.000004 | 0.000151 |
| eur/pln | -0.000004 | 0.000004 | 0.000017 | 0.000003 |
| portfolio | 0.000327 | 0.000151 | 0.000003 | 0.000202 |
Test Craméra-von Misesa
CramerVonMisesResult(statistic=0.024750620007452234, pvalue=0.9905901413764437)
\(H_0\) akceptowana \(\implies\) dane pochodzą z tego rozkładu
CramerVonMisesResult(statistic=0.06433178135787296, pvalue=0.7884934112299883)
\(H_0\) akceptowana \(\implies\) dane pochodzą z tego rozkładu
Dopasowanie parametrów dla uogólnionego rozkładu Pareto
(np.float64(0.25698806951709424), np.float64(2.750497821653969), np.float64(1.3010941981515778))
Test Craméra-von Misesa na zgodność rozkładu z uogólnionym rozkładem Pareto
CramerVonMisesResult(statistic=0.02853690383476752, pvalue=0.9810873318526163)
\(H_0\) akceptowana \(\implies\) dane pochodzą z tego rozkładu